Is this a long only or bi-directional system? Over the last decade, has it outperformed a baseline SP500 200MA daily or 20-period monthly directional strategy (close above = long, close below = short)? Perhaps I'm too demanding, but why waste time implementing strategies that don't have the potential to significantly outperform this BL. Down 15% in this historical volatility is painfully poor, granted it is not long only.
Spinn can see my pm for a response. He has been added to my ignore list, and congrats on being the first. This kind of wannabe behavior is very annoying. His failings as a trader are very apparent when he sees someone more succesful than himself, both as a trader and as a professional.
Hi, the anwer is yes. Your strategy, since 3/20/2007 has these as returns: Long + Short Long Only Short Only Buy & Hold Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00 Ending Capital $102,637.64 $102,637.64 $169,909.00 $104,103.95 Net Profit ($67,271.36) ($67,271.36) $0.00 ($65,805.05) Net Profit % -39.59% -39.59% 0.00% -38.73% Annualized Gain % -21.56% -21.56% 0.00% -21.03% Exposure 53.24% 53.24% 0.00% 100.00% Cash Interest $0.00 $0.00 $0.00 $0.00 Margin Loan Interest $0.00 $0.00 $0.00 $0.00 Total Commission ($11.15) ($11.15) $0.00 ($12.05) Number of Trades 1 1 0 1 Avg Profit/Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05) Avg Profit/Loss % -41.09% -41.09% 0.00% -38.70% Avg Bars Held 325 325 0 524 Winning Trades 0 0 0 0 Winning % 0.00% 0.00% 0.00% 0.00% Gross Profit $0.00 $0.00 $0.00 $0.00 Avg Profit $0.00 $0.00 $0.00 $0.00 Avg Profit % 0.00% 0.00% 0.00% 0.00% Avg Bars Held 0 0 0 0 Max Consecutive 0 0 0 0 Losing Trades 1 1 0 1 Losing % 100.00% 100.00% 0.00% 100.00% Gross Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05) Avg Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05) Avg Loss % -41.09% -41.09% 0.00% -38.70% Avg Bars Held 325 325 0 524 Max Consecutive 1 1 0 1 Max Drawdown ($87,776.21) ($87,776.21) $0.00 ($106,485.84) Max Drawdown Date 3/9/2009 3/9/2009 N/A 3/9/2009 Max Drawdown % -51.66% -51.66% 0.00% -56.51% Max Drawdown % Date 3/9/2009 3/9/2009 N/A 3/9/2009 Wealth-Lab Score -61.4249 -61.4249 0 -32.9078 RAR -40.5015 -40.5015 0 -21.0262 Profit Factor 0 0 0 0 Recovery Factor 0.7664 0.7664 0 0.618 Payoff Ratio 0 0 0 0 Sharpe Ratio -1.0262 -1.0262 0 -0.9069 Dghost Annual Volatility % 24.262 24.262 0 26.6304 Excess Return -24.8966 -24.8966 0 -24.1515 Ulcer Index 21.3821 21.3821 0 25.0647 WL Error Term 7.763 7.763 0 8.146 WL Reward Ratio -2.7776 -2.7776 0 -2.5812 Luck Coefficient 0 0 0 0 Pessimistic Rate of Return 0 0 0 0 Equity Drop Ratio -0.2739 -0.2739 0 -0.2804 Looks like -40% Here's the program var Bar: integer; var SMA200,SMA20:integer; SMA200:=createseries; SMA20:=createseries; SMA200:=SMASeries(#Close,200); SMA20:=SMASeries(#Close,20); for Bar := 20 to BarCount - 1 do begin if not LastPositionActive then { Entry Rules } begin if crossover(Bar,SMA200,SMA20) then begin buyatmarket(Bar+1,''); end; if crossunder(Bar,SMA200,SMA20) then begin shortatmarket(Bar+1,''); end; end else { Exit Rules } begin if crossover(Bar,SMA200,SMA20) then begin coveratmarket(Bar+1,lastposition,'');buyatmarket(Bar+1,''); end; if crossunder(Bar,SMA200,SMA20) then begin sellatmarket(Bar+1,lastposition,'');shortatmarket(Bar+1,''); end; end; end; Here's the results since 9/1/1998 of your bi-directional system Long + Short Long Only Short Only Buy & Hold Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00 Ending Capital $53,683.46 $122,338.81 $101,253.64 $236,738.35 Net Profit $-116,225.54 $-47,570.19 $-68,655.36 $66,829.35 Net Profit % -68.40% -28.00% -40.41% 39.33% Annualized Gain % -8.31% -2.44% -3.82% 2.53% Exposure 69.52% 23.05% 37.25% 100.00% Cash Interest $0.00 $0.00 $0.00 $0.00 Margin Loan Interest $0.00 $0.00 $0.00 $0.00 Total Commission $-391.17 $-199.51 $-191.66 $-27.43 Number of Trades 21 11 10 1 Avg Profit/Loss $-5,534.55 $-4,324.56 $-6,865.54 $66,829.35 Avg Profit/Loss % -4.70% -4.18% -5.26% 39.22% Avg Bars Held 127.05 106.00 150.20 3,343.00 Winning Trades 10 7 3 1 Winning % 47.62% 63.64% 30.00% 100.00% Gross Profit $47,406.83 $41,190.34 $6,216.49 $66,829.35 Avg Profit $4,740.68 $5,884.33 $2,072.16 $66,829.35 Avg Profit % 3.73% 4.50% 1.93% 39.22% Avg Bars Held 27.90 28.00 27.67 3,343.00 Max Consecutive 3 3 1 1 Losing Trades 11 4 7 0 Losing % 52.38% 36.36% 70.00% 0.00% Gross Loss $-163,632.37 $-88,760.52 $-74,871.85 $0.00 Avg Loss $-14,875.67 $-22,190.13 $-10,695.98 $0.00 Avg Loss % -12.36% -19.38% -8.35% 0.00% Avg Bars Held 217.18 242.50 202.71 0.00 Max Consecutive 3 2 4 0 Max Drawdown $-150,969.48 $-90,759.48 $-76,809.94 $-242,398.89 Max Drawdown Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009 Max Drawdown % -77.88% -44.86% -44.93% -56.54% Max Drawdown % Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009 Wealth-Lab Score -21.2511 -15.3460 -14.8659 1.0985 RAR -11.9471 -10.5934 -10.2572 2.5277 Profit Factor 0.2897 0.4641 0.0830 INF Recovery Factor 0.7699 0.5241 0.8938 0.2757 Payoff Ratio 0.3019 0.2323 0.2316 INF Sharpe Ratio -0.5135 -0.2690 -0.4059 0.1944 Dghost Annual Volatility % 15.5020 8.6268 8.7187 17.0242 Excess Return -7.9607 -2.3207 -3.5393 3.3097 Ulcer Index 40.2764 20.4350 26.9809 21.2442 WL Error Term 7.4570 6.2140 3.5880 12.2460 WL Reward Ratio -1.1137 -0.3930 -1.0650 0.2064 Luck Coefficient 3.5286 2.9245 1.4916 0.0000 Pessimistic Rate of Return 0.1442 0.1686 0.0304 0.0000 Equity Drop Ratio -0.6427 -2.3077 -1.0168 2.2589 This is very poor.
Here's my system from 6/15/2006 Long + Short Long Only Short Only Buy & Hold Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00 Ending Capital $564,994.80 $564,994.80 $185,847.39 $-184,033.96 Net Profit $395,085.80 $395,085.80 $15,938.39 $-353,942.96 Net Profit % 232.53% 232.53% 9.38% -208.31% Annualized Gain % 54.56% 54.56% 3.30% Error Y=-1.0831 Days=1008 Exposure 19.34% 19.34% 0.00% 0.00% Cash Interest $25,056.00 $25,056.00 $15,938.39 $0.00 Margin Loan Interest $0.00 $0.00 $0.00 $-114,128.55 Total Commission $-8,983.51 $-8,983.51 $0.00 $-67.84 Number of Trades 71 71 0 1 Avg Profit/Loss $5,564.59 $5,564.59 $0.00 $-353,942.96 Avg Profit/Loss % 1.78% 1.78% 0.00% -46.98% Avg Bars Held 1.99 1.99 0.00 694.00 Winning Trades 49 49 0 0 Winning % 69.01% 69.01% 0.00% 0.00% Gross Profit $631,481.61 $631,481.61 $0.00 $0.00 Avg Profit $12,887.38 $12,887.38 $0.00 $0.00 Avg Profit % 3.92% 3.92% 0.00% 0.00% Avg Bars Held 2.08 2.08 0.00 0.00 Max Consecutive 7 7 0 0 Losing Trades 22 22 0 1 Losing % 30.99% 30.99% 0.00% 100.00% Gross Loss $-261,451.82 $-261,451.82 $0.00 $-239,814.41 Avg Loss $-11,884.17 $-11,884.17 $0.00 $-239,814.41 Avg Loss % -2.99% -2.99% 0.00% -46.98% Avg Bars Held 1.77 1.77 0.00 694.00 Max Consecutive 3 3 0 1 Max Drawdown $-72,035.31 $-72,035.31 $0.00 $-352,436.72 Max Drawdown Date 9/3/2008 9/3/2008 N/A 4/16/2009 Max Drawdown % -15.43% -15.43% 0.00% -180.42% Max Drawdown % Date 9/3/2008 9/3/2008 N/A 6/5/2008 Wealth-Lab Score 238.5274 238.5274 0.0000 0.0000 RAR 282.0313 282.0313 0.0000 0.0000 Profit Factor 2.4153 2.4153 0.0000 0.0000 Recovery Factor 5.4846 5.4846 0.0000 1.0043 Payoff Ratio 1.3098 1.3098 0.0000 0.0000 Sharpe Ratio 1.5921 1.5921 65.8277 0.4190 Dghost Annual Volatility % 28.3510 28.3510 0.0494 5,348.7437 Excess Return 45.1367 45.1367 3.2534 2,240.9083 Ulcer Index 4.5407 4.5407 0.0000 121.7448 WL Error Term 5.3170 5.3170 0.0080 1,328.3130 WL Reward Ratio 10.2607 10.2607 412.7625 0.0000 Luck Coefficient 3.9839 3.9839 0.0000 0.0000 Pessimistic Rate of Return 2.0611 2.0611 0.0000 0.0000 Equity Drop Ratio 0.0542 0.0542 0.0000 0.0000 Obviously there's a big difference in profits, and if you go from 3/20/2007 when I started on C2 we have a difference of 0.8-(-.4)=12000 basis points or 120%. Those were unleveraged returns with position sizing of 96%. Anyway, I really don't think that was even close to a fair comparison, given that SMA's are proven to be unprofitable they would not be something to try to compare side by side to a CFA candidate's level of work.
When you reverse these you get: var Bar: integer; var SMA200,SMA20:integer; SMA200:=createseries; SMA20:=createseries; SMA200:=SMASeries(#Close,200); SMA20:=SMASeries(#Close,20); for Bar := 20 to BarCount - 1 do begin if not LastPositionActive then { Entry Rules } begin if crossover(Bar,SMA200,SMA20) then begin shortatmarket(Bar+1,''); end;{Instead of what you had suggested you actually want to do the opposite if the 200 period SMA crosses over the 20 period SMA. if crossunder(Bar,SMA200,SMA20) then begin buyatmarket(Bar+1,''); end; end else { Exit Rules } begin if crossunder(Bar,SMA200,SMA20) then begin coveratmarket(Bar+1,lastposition,'');buyatmarket(Bar+1,''); end; if crossover(Bar,SMA200,SMA20) then begin sellatmarket(Bar+1,lastposition,'');shortatmarket(Bar+1,''); end; end; end; Since 9/1/1998 this strategy has returned less than bonds with a comparable amount of risk. Long + Short Long Only Short Only Buy & Hold Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00 Ending Capital $328,190.50 $251,452.14 $246,647.36 $236,738.35 Net Profit $158,281.50 $81,543.14 $76,738.36 $66,829.35 Net Profit % 93.16% 47.99% 45.16% 39.33% Annualized Gain % 5.08% 2.99% 2.84% 2.53% Exposure 80.79% 45.40% 43.90% 100.00% Cash Interest $0.00 $0.00 $0.00 $0.00 Margin Loan Interest $0.00 $0.00 $0.00 $0.00 Total Commission $-701.75 $-342.60 $-359.15 $-27.43 Number of Trades 21 10 11 1 Avg Profit/Loss $7,537.21 $8,154.31 $6,976.21 $66,829.35 Avg Profit/Loss % 3.94% 4.46% 3.47% 39.22% Avg Bars Held 127.05 150.20 106.00 3,343.00 Winning Trades 10 6 4 1 Winning % 47.62% 60.00% 36.36% 100.00% Gross Profit $249,382.52 $99,672.47 $149,710.05 $66,829.35 Avg Profit $24,938.25 $16,612.08 $37,427.51 $66,829.35 Avg Profit % 12.85% 8.86% 18.84% 39.22% Avg Bars Held 226.00 215.00 242.50 3,343.00 Max Consecutive 2 3 2 1 Losing Trades 11 4 7 0 Losing % 52.38% 40.00% 63.64% 0.00% Gross Loss $-91,101.02 $-18,129.33 $-72,971.69 $0.00 Avg Loss $-8,281.91 $-4,532.33 $-10,424.53 $0.00 Avg Loss % -4.16% -2.14% -5.32% 0.00% Avg Bars Held 37.09 53.00 28.00 0.00 Max Consecutive 4 2 3 0 Max Drawdown $-52,919.86 $-24,755.80 $-74,490.39 $-242,398.89 Max Drawdown Date 8/24/2006 4/25/2003 12/10/2007 3/9/2009 Max Drawdown % -19.57% -11.81% -34.23% -56.54% Max Drawdown % Date 8/24/2006 4/25/2003 12/10/2007 3/9/2009 Wealth-Lab Score 5.0569 5.8154 4.2613 1.0985 RAR 6.2875 6.5944 6.4795 2.5277 Profit Factor 2.7374 5.4979 2.0516 INF Recovery Factor 2.9910 3.2939 1.0302 0.2757 Payoff Ratio 3.0877 4.1473 3.5411 INF Sharpe Ratio 0.5054 0.4821 0.3248 0.1944 Dghost Annual Volatility % 11.6376 6.6340 11.5345 17.0242 Excess Return 5.8822 3.1985 3.7466 3.3097 Ulcer Index 7.9556 5.3596 15.6745 21.2442 WL Error Term 5.7870 3.0350 8.3450 12.2460 WL Reward Ratio 0.8778 0.9865 0.3409 0.2064 Luck Coefficient 3.1106 2.2957 2.1221 0.0000 Pessimistic Rate of Return 1.4747 2.4542 0.7342 0.0000 Equity Drop Ratio 0.4793 0.4838 2.0108 2.2589 Or a 5% APR with a 20% DD. Obviously this will work in reverse since 6/15/2006: Long + Short Long Only Short Only Buy & Hold Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00 Ending Capital $236,504.54 $169,909.00 $236,504.54 $104,103.95 Net Profit $66,595.54 $0.00 $66,595.54 $-65,805.05 Net Profit % 39.19% 0.00% 39.19% -38.73% Annualized Gain % 17.27% 0.00% 17.27% -21.03% Exposure 64.23% 0.00% 64.23% 100.00% Cash Interest $0.00 $0.00 $0.00 $0.00 Margin Loan Interest $0.00 $0.00 $0.00 $0.00 Total Commission $-11.15 $0.00 $-11.15 $-12.05 Number of Trades 1 0 1 1 Avg Profit/Loss $66,595.54 $0.00 $66,595.54 $-65,805.05 Avg Profit/Loss % 40.84% 0.00% 40.84% -38.70% Avg Bars Held 325.00 0.00 325.00 524.00 Winning Trades 1 0 1 0 Winning % 100.00% 0.00% 100.00% 0.00% Gross Profit $66,595.54 $0.00 $66,595.54 $0.00 Avg Profit $66,595.54 $0.00 $66,595.54 $0.00 Avg Profit % 40.84% 0.00% 40.84% 0.00% Avg Bars Held 325.00 0.00 325.00 0.00 Max Consecutive 1 0 1 0 Losing Trades 0 0 0 1 Losing % 0.00% 0.00% 0.00% 100.00% Gross Loss $0.00 $0.00 $0.00 $-65,805.05 Avg Loss $0.00 $0.00 $0.00 $-65,805.05 Avg Loss % 0.00% 0.00% 0.00% -38.70% Avg Bars Held 0.00 0.00 0.00 524.00 Max Consecutive 0 0 0 1 Max Drawdown $-20,504.86 $0.00 $-20,504.86 $-106,485.84 Max Drawdown Date 4/16/2009 N/A 4/16/2009 3/9/2009 Max Drawdown % -8.82% 0.00% -8.82% -56.51% Max Drawdown % Date 5/19/2008 N/A 5/19/2008 3/9/2009 Wealth-Lab Score 24.5214 0.0000 24.5214 -32.9078 RAR 26.8937 0.0000 26.8937 -21.0262 Profit Factor INF 0.0000 INF 0.0000 Recovery Factor 3.2478 0.0000 3.2478 0.6180 Payoff Ratio INF 0.0000 INF 0.0000 Sharpe Ratio 1.4338 0.0000 1.4338 -0.9069 Dghost Annual Volatility % 13.0900 0.0000 13.0900 26.6304 Excess Return 18.7690 0.0000 18.7690 -24.1515 Ulcer Index 3.3732 0.0000 3.3732 25.0647 WL Error Term 4.2680 0.0000 4.2680 8.1460 WL Reward Ratio 4.0472 0.0000 4.0472 -2.5812 Luck Coefficient 0.0000 0.0000 0.0000 0.0000 Pessimistic Rate of Return 0.0000 0.0000 0.0000 0.0000 Equity Drop Ratio 0.0782 0.0000 0.0782 -0.2804 So we're still comparing apples to oranges in terms of performance given that the long term APR of such a strategy is negligible at 5%, and the current periods results only have 1 trade. The current "profit" shown will give back a substantial amount of earnings as it "falls back" to the reversal, and this is inherently why SMA's do not work. They give back too much of their profits to have high risk adjusted returns over long periods. That's why when you say well it made 40% this period, but only made 5% APR we're not talking about the same thing. This is referred to as luck. Apparently no one believes results from c2, so you can track my real trades at covestor.com under the name bwolinsky.
Are you just severly incompetent, or misinterpreted what I use as a "baseline" comparison model? Buy bar that closes "above" 20-monthly or 200-daily, or sell bar that closes below 20-monthly or 200-daily. Ex, SP500 20-monthly from the date you selected (3/20/2007) to current entails 2 trades: 1. Long SPY 1425 April 1 2007 Flat 1375 Jan 31 2008 Gain/Loss: -3.51% 2. Short SPY 1375 Jan 31 2008 - Trade remains valid short @ 870 Gain/Loss: +36.77% Net Gain/Loss from your 3/20/2007: +33.26% 200SMA is approximately +375-400 SP points net over that same time frame. If you misinterpreted, no problem. If not, you are an absolute joke.
Here is the PM bwolinsky sent: "You can go fuck yourself for heckling, dickhead Go fuck yourself. You only wish you made 80% in the last two years, ass hole." Why would a Guru get so sensitive? Is he having trouble living with himself? Probably not. I kinda feel bad for the guy.......losing money for twelve months in a row must be frustrating........I wouldnt know.